Research on Stock Market Risk Contagion of Major Debt Crises Based on Complex Network Models—The Case of Evergrande in China

Kaihao Liang (), Shuliang Li, Wenfeng Zhang and Chaolong Zhang
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Kaihao Liang: Department of Mathematics, Zhongkai University of Agriculture and Engineering, No. 501, Zhongkai Road, Haizhu District, Guangzhou 510225, China
Shuliang Li: College of Economy and Trade, Zhongkai University of Agriculture and Engineering, No. 501, Zhongkai Road, Haizhu District, Guangzhou 510225, China
Wenfeng Zhang: College of Economy and Trade, Zhongkai University of Agriculture and Engineering, No. 501, Zhongkai Road, Haizhu District, Guangzhou 510225, China
Chaolong Zhang: Department of Mathematics, Zhongkai University of Agriculture and Engineering, No. 501, Zhongkai Road, Haizhu District, Guangzhou 510225, China

Mathematics, 2024, vol. 12, issue 11, 1-13

Abstract: After a major debt crisis occurs in a listed company, the stock prices of related enterprises may also fluctuate sharply, resulting in the spread of debt risk to more enterprises. Taking the stocks of listed companies as network nodes, we constructed a complex stock market network over three periods of time through the logarithmic return rate of stocks for the three periods of prophase, metaphase, and anaphase of the debt crisis. We studied the topological characteristics of the network and destructiveness over the three periods. Finally, the minimum spanning tree was used to construct a network and the community structure of the network. The empirical analysis took the debt crisis of the China Evergrande Company as an example to analyze the impact of its major debt crisis on the Chinese stock market. The research findings were as follows: First, the debt crisis increased the inter-industry connections within the network, that is, the correlations between enterprises in different industries was enhanced. Second, the closeness of the cross-industry connections increased the connectivity efficiency of the network, but compared with the other two periods, the debt crisis in the metaphase was less stable. Third, community research showed that in the metaphase of the debt crisis, the enterprises became the core nodes of the network.

Keywords: destruction resistance; complex network; organization structure; minimum spanning tree (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2024
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